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The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012
Persistent link: https://www.econbiz.de/10009504643
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The value of multivariate model sophistication : an application to pricing Dow Jones industrial average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012
Persistent link: https://www.econbiz.de/10009485768
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462
Persistent link: https://www.econbiz.de/10011300430
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Macroeconomic announcements and the implied volatility index : evidence from India VIX
Shaikh, Imlak; Padhi, Puja - In: Margin: the journal of applied economic research 7 (2013) 4, pp. 417-442
Persistent link: https://www.econbiz.de/10011337346
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Mispricing and trading profits in exchange-traded notes
Diavatopoulos, Dean; Geman, Hélyette; Thukral, Lovjit; … - In: The journal of investing 23 (2014) 1, pp. 67-78
Persistent link: https://www.econbiz.de/10011312853
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Call-put implied volatility spreads and option returns
Doran, James S.; Fodor, Andy; Jiang, Danling - In: Review of asset pricing studies 3 (2013) 2, pp. 258-290
Persistent link: https://www.econbiz.de/10010249050
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The puzzle of index option returns
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - In: Review of asset pricing studies 3 (2013) 2, pp. 229-257
Persistent link: https://www.econbiz.de/10010249052
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Modeling and predicting the market volatility index : the case of VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...
Persistent link: https://www.econbiz.de/10010478493
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Regime-dependent relationships between the implied volatility index and stock market index
Lee, Jaeram; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 50 (2014) 5, pp. 5-17
Persistent link: https://www.econbiz.de/10010485198
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Capturing the index effect via options
Dash, Srikant; Liu, Berlinda - In: The journal of trading 4 (2009) 2, pp. 72-78
Persistent link: https://www.econbiz.de/10003842357